Showing 1 - 10 of 10
We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...
Persistent link: https://www.econbiz.de/10011373822
(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable …
Persistent link: https://www.econbiz.de/10011303314
and smoother and the simulation smoother which do not rely on a linear Gaussian observation equation. Furthermore, results …
Persistent link: https://www.econbiz.de/10011348357
The linear Gaussian state space model for which the common variance istreated as a stochastic time-varying variable is considered for themodelling of economic time series. The focus of this paper is on thesimultaneous estimation of parameters related to the stochasticprocesses of the mean part...
Persistent link: https://www.econbiz.de/10011327834
Persistent link: https://www.econbiz.de/10009722707
methods. Our methodology explores the idea that only a small part of the likelihood evaluation problem requires simulation. We …-off encountered by other sampling methods. An elaborate simulation study and an empirical application for U.S. stock returns reveal …
Persistent link: https://www.econbiz.de/10011386179
We study the performance of alternative methods for calculating in-sample confidence and out of-sample forecast bands for time-varying parameters. The in-sample bands reflect parameter uncertainty only. The out-of-sample bands reflect both parameter uncertainty and innovation uncertainty. The...
Persistent link: https://www.econbiz.de/10011295703
Persistent link: https://www.econbiz.de/10010191086
We consider unobserved components time series models where the components are stochastically evolving over time and are subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of the observed time series. We develop a simulated...
Persistent link: https://www.econbiz.de/10011809984
This paper introduces a novel simulation-based filtering method for general state space models. It allows for the …
Persistent link: https://www.econbiz.de/10014247627